Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"Previously I was using *******. IQFeed is WAY more economical, and for my charting needs is just as good, if not better." - Comment from Public Forum Post
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
"I'm very glad I switched to IQFeed. It's working perfectly with no lag, even during fast market conditions." - Comment from Andy via Email
"I "bracket trade" all major news releases and I have not found one lag or glitch with DTN.IQ feed. I am very comfortable with their feed under all typical news conditions (Fed releases, employment numbers, etc)." - Comment from Public Forum
"I'm satisfied with IQFeed. It's the most reliable and fastest quote feed I have ever used. Although I'm a resident in China, it's still very fast!" - Comment from Xiaofei
"Thanks for the great product and support. During this week of high volume trading, my QuoteTracker + IQ Feed setup never missed a beat. Also, thanks for your swiftness in responding to data issues. I was on ******* for a few years before I made the switch over early this year, and wish I had done it a long time ago." - Comment from Ken
"I just wanted to let u know that your data feed/service is by far the best!!! Your unfiltered tick data is excellent for reading order flow and none of your competitors delivers this quality of data!" - Comment from Peter via Email
"I started a trial a few weeks back before the market went wild. DTN.IQ didn’t miss anything and beat my other provider. I decided to stay with you because of the great service through all the volatility." - Comment from Mike
"The service is great, I see a noticeable improvement in my volume profiles over [broker]'s data feed" - Comment from Larry
"You are much better than lawyers or the phone company because you answer the phone when I call! I just love your customer service." - Comment from Isreal
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »Historical prices are Split Adjusted but volume is not! Money Flow Analysis erroneous...
Author Topic: Historical prices are Split Adjusted but volume is not! Money Flow Analysis erroneous... (11 messages, Page 1 of 1)

psobota
-Interested User-
Posts: 6
Joined: May 11, 2004


Posted: Jul 8, 2004 11:57 AM          Msg. 1 of 11
I noticed historical prices are being Split Adjusted but volume is not!

Recent examples are:
MOV, split 2-1 on 6/28/04,
CNT, split 2-1 on 7/1/04
Historical prices are split adjusted, but volume is not.

This error makes any kind of Volume study or Money Flow analysis
worthless! Will this be corrected? The historical data should either be
price and volume split adjusted or the data should be left unadjusted.
Adjusting one without the other is useless.

Paul

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 8, 2004 09:43 PM          Msg. 2 of 11
Sorry we missed your earlier post. I will have our Market data group check this out. I know there is a problem with the split adjustment process in production, and a fix is currently being tested. My guess is this is part of the problem that will be fixed too, but I will double check.

Thanks for the posts...

Jay Froscheiser
DTN Market Access, LLC.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 15, 2004 11:05 AM          Msg. 3 of 11
We are going to do some more research on this (and I would be interested to hear other peoples posts). We have checked with other vendors, and Esignal and CQG also don't adjust volume. Websites such as Yahoo does. Since this is the first time anyone has suggested that we split adjust volume, I am going to need more feedback from customers before making such a sweeping change.

Jay Froscheiser
DTN Market Access, LLC.

taa_dtn
-DTN Evangelist-
Posts: 120
Joined: May 7, 2004


Posted: Jul 16, 2004 03:30 PM          Msg. 4 of 11
Ideally, price and volume should both be adjusted, or neither should be adjusted (which is what I'd prefer). But existing code probably has subtle dependencies on the current behavior (e.g. it might not be capable of maintaining fractional volumes), so I'd vote not to change it.

Allen

tadams
-Interested User-
Posts: 18
Joined: May 7, 2004


Posted: Jul 19, 2004 10:15 PM          Msg. 5 of 11
Ok, now I'm worried that I have no way to analyze the historical data I've been capturing unless I severely scrutinize each symbol that recently split.

Does IQFeed have a firm position on how splits will be handled? Personally, I vote that you dont touch it and we can use the split fields to do it ourselves.

<rant>
Given that the repeated requests for a change log have been ignored, I'm becoming very nervous about trusting data. I'd **really** like to know when you guys change a single byte of logic. Believe it or not, there are folks out here who want to be able to use the data we're paying for. Please stop the casual modifications that aren't communicated to us and implement a running change log for each modification that makes it's way into production. That way, we would be able to research these topics ourselves - since the logic isn't documented elsewhere....
</rant>

Ted

DTN_Natalie_H
-DTN Evangelist-
Posts: 175
Joined: May 10, 2004

DTN Market Access, LLC.


Posted: Jul 20, 2004 10:25 AM          Msg. 6 of 11
Ted,

In reference to your rant, I'd like to say that we haven't ignored you. IQFeed v2.3.0.2 is currently in QA, and does include such a change log. We do make a point of listening to our customers, and are working to improve the feed for everyone.

I'll get back to you on the splits.

Thanks for your comments!

Natalie Hannan DTN Market Access, LLC.

DTN_Natalie_H
-DTN Evangelist-
Posts: 175
Joined: May 10, 2004

DTN Market Access, LLC.


Posted: Jul 20, 2004 11:00 AM          Msg. 7 of 11
Ted,

You wrote "Does IQFeed have a firm position on how splits will be handled?"

We apply splits to historical data, and we do not apply splits to volume.

Natalie Hannan DTN Market Access, LLC.

tadams
-Interested User-
Posts: 18
Joined: May 7, 2004


Posted: Jul 20, 2004 11:17 AM          Msg. 8 of 11
Natalie,

Pardon the rant - I became distressed after seeing the comment that DTN knows there's a problem with the split process that is currently in production and is testing a fix. (What's the problem? Can you notify me of the change so I can be prepared to alter my historical data as you transition the change into production?)

I applaud your efforts to fix issues quickly when they're identified. My concern though is that your fixes are generally forward-looking and do not provide me with the information necessary to correct my historical data. The end-users need to know the date and time any new logic takes effect, the details of the old flaw, and the logic behind the new change. Any changes to historical logic greatly impact those of us storing data versus those using realtime data.

Regards,

Ted

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 20, 2004 12:26 PM          Msg. 9 of 11
Ted,

The error mentioned in split adjustments is flat out a bug that is causing us to miss some split adjustments or process them incorrectly (usually the split is being adjusted one day off so there is still a spike). When this is fixed, we will notify users. The fix is currently in QA (as is quite a bit of other code, which is why I can't provide a date for release).

Thanks

Jay Froscheiser
DTN Market Access, LLC.

xorq
-Interested User-
Posts: 3
Joined: May 27, 2011


Posted: Jul 14, 2011 04:08 PM          Msg. 10 of 11
Hi,
Seems like this problem has been mentionned and still there is the same split problem...
What has been done for correcting it in last 7 years ? I think such an error in datas should be a top priority for a data vendor ...
Daniel

xorq
-Interested User-
Posts: 3
Joined: May 27, 2011


Posted: Jul 14, 2011 04:13 PM          Msg. 11 of 11
When prices are splitted, past volume should be multiplied not divided, therefore there is no fractional volumes...
 

 

Time: Wed April 1, 2020 12:57 PM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003